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Empirical Moments

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BTCUSDT I thought I’d make an indicator for the “fast trader”. This indicator compares the changing high prices with the close prices and in doing so, detects positive “anomalies” (the outlier drift). It gets more complicated than that; the practical indicator is the “empirically weighted drift”, which is a weighted average of the former with its derivatives up to the third order I.e. the “outlier yank”. The empirically weighted drift crossing above and below zero with long and short actions, respectively is used as the strategy. With this strategy, current backtesting for the 15 minute BTCUSDT on the Binance market yields a Sharpe ratio of 1.47 and profit factor of 1.12. Publishing the strategy as well.
Sürüm Notları
Corrected a weight on the yellow indicator

Feragatname

Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.